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The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...

Persistent link: https://www.econbiz.de/10011598484

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

Billio, Monica - 2017

Persistent link: https://www.econbiz.de/10012963394

Asset allocation and risk taking under different interest rate regimes

Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023

We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...

Persistent link: https://www.econbiz.de/10014278642

fama and macbeth revisited: A Critique

Salazar, Juan; Lambert, Annick - Volkswirtschaftliche Fakultät, … - 2010

The main conclusion of the FM study relies on the fact that the average of the slopes of 402 regressions of the monthly returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn from the same normally distributed population, FM...

Persistent link: https://www.econbiz.de/10009397170

A new Model for Stock Price Movements

Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007

A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...

Persistent link: https://www.econbiz.de/10005836494

Investment Decisions by Analysts: A Case Study of KSE

Shaikh, Salman - Volkswirtschaftliche Fakultät, … - 2013

Security prices in efficient markets reflect all relevant information. Past price formations and even fundamental …

Persistent link: https://www.econbiz.de/10011113920

Testing the CAPM: Evidences from Italian Equity Markets

Canegrati, Emanuele - Volkswirtschaftliche Fakultät, … - 2008

The aim of the following work is to exploit principal econometric tecniques to test the Capital Asset Pricing Model theory in Italian equity markets. CAPM is a financial model which describes expected returns of any assets (or asset portfolio) as a function of the expected return on the market...

Persistent link: https://www.econbiz.de/10005621537

What do asset prices have to say about risk appetite and uncertainty?

Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover …

Persistent link: https://www.econbiz.de/10003832589

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term …

Persistent link: https://www.econbiz.de/10003832616

Asset pricing, habit memory, and the labor market

Jaccard, Ivan - 2010

This article studies the asset pricing and the business cycle implications of habit formation in a production economy with capital adjustment costs and endogenous labor supply. A specification of internal habit in the mix of consumption and leisure which minimze the wealth effect on labor supply...

Persistent link: https://www.econbiz.de/10003971247